Trend-Following Backtester · Guide · backtest 한국어
equity · CA
Lundin Gold Inc. backtest
10 trend-following strategies were compared on the full daily history of Lundin Gold Inc.. 0 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester.
Results by strategy
0 of 10 beat buy and hold (CAGR 6.9%, drawdown -94.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 4.0%, MDD -90.6%, Sharpe 0.33, 51% exposure.
No strategy retained at least 75% of buy-and-hold CAGR while reducing drawdown by both 20% relatively and 5 percentage points absolutely.
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=49, slow=127 |
4.0% | -90.6% | 0.33 | 0.04 | 3.2x | 66 | 51% |
| Donchian 채널 돌파 entryN=60, exitN=63 |
2.0% | -90.0% | 0.31 | 0.02 | 1.8x | 77 | 50% |
| EMA 크로스오버 fast=57, slow=70 |
-1.2% | -93.9% | 0.26 | -0.01 | 0.7x | 81 | 51% |
| ROC 모멘텀 n=73, threshold=-0.03 |
-6.4% | -98.6% | 0.20 | -0.07 | 0.1x | 397 | 60% |
| Parabolic SAR step=0.005, maxStep=0.36 |
-8.3% | -97.8% | 0.15 | -0.08 | 0.1x | 183 | 49% |
| 볼린저 밴드 돌파 n=62, k=2.6 |
-4.3% | -95.0% | 0.13 | -0.04 | 0.3x | 79 | 23% |
| ADX / DI 방향성 period=47, threshold=11 |
-9.1% | -99.3% | 0.10 | -0.09 | 0.1x | 178 | 45% |
| MACD fast=16, slow=31, signal=18 |
-18.1% | -99.9% | 0.04 | -0.18 | 0.0x | 397 | 51% |
| Supertrend period=7, mult=5 |
-16.4% | -99.9% | 0.00 | -0.16 | 0.0x | 179 | 56% |
| Keltner 채널 돌파 emaPeriod=51, atrPeriod=8, mult=2.2 |
-13.4% | -99.7% | -0.03 | -0.13 | 0.0x | 177 | 35% |
| Buy and hold | 6.9% | -94.7% | 0.46 | 0.07 | 7.4x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 49-day average price crosses above the 127-day average
- Sell — Sell (to cash) when the 49-day average falls below the 127-day average